Just looking at it now, without having done any historical research,
I wonder why it is that we don't attach significance to WITH ADMIN OPTION being granted to the role itself. It seems like the second part of that sentence is effectively saying that a role DOES have admin option on itself, contradicting the first part.
WITH ADMIN OPTION is inheritable which is really bad if the group has WITH ADMIN OPTION on itself. The session_user exception temporarily grants WITH ADMIN OPTION to the group but it is done in such a way so that it is not inheritable.
There is no possible way to even assign WITH ADMIN OPTION on a role to itself since pg_auth_members doesn't record a self-relationship and admin_option only exists there.
David J.
P.S. Feature request; modify \du+ to show which "Member of" roles a given role has the WITH ADMIN OPTION privilege on.